Finish Questions based on the information: So = 120,0 = 0.45, r = 6%,8 = 0....
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Finish Questions based on the information: So = 120,0 = 0.45, r = 6%,8 = 0. A market-maker sells 250 put options with strike price 110 and time to maturity is 90 days. Create a hedge portfolio using the Delta hedging strategy. On the next day, the stock price increases to $121. Compute the overnight profit/loss. Please describe the actions needed to rebalance the hedging portfolio. Given So = 50, o = 0.3, r = 4%, 8 = 0, a market maker sells 100 bull spread consists of 48- strke calls and 52-strke calls with 91 days to maturity. What investment is required for delta- hedging the position. Finish Questions based on the information: So = 120,0 = 0.45, r = 6%,8 = 0. A market-maker sells 250 put options with strike price 110 and time to maturity is 90 days. Create a hedge portfolio using the Delta hedging strategy. On the next day, the stock price increases to $121. Compute the overnight profit/loss. Please describe the actions needed to rebalance the hedging portfolio. Given So = 50, o = 0.3, r = 4%, 8 = 0, a market maker sells 100 bull spread consists of 48- strke calls and 52-strke calls with 91 days to maturity. What investment is required for delta- hedging the position.
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Create a hedge portfolio using the Delta hedging strategy ANSWER The delta of the put option is 8 so the marketmaker needs to sell 8250 2000 shares of ... View the full answer
Related Book For
Integrated Accounting
ISBN: 978-1285462721
8th edition
Authors: Dale A. Klooster, Warren Allen, Glenn Owen
Posted Date:
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